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<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">#!/usr/bin/python</span>
<a name="l00002"></a>00002 <span class="comment"># -*- coding: utf-8 -*-</span>
<a name="l00003"></a>00003 
<a name="l00004"></a>00004 <span class="comment"># Copyright (c) 2011</span>
<a name="l00005"></a>00005 <span class="comment">#</span>
<a name="l00006"></a>00006 <span class="comment"># Permission is hereby granted, free of charge, to any person obtaining a</span>
<a name="l00007"></a>00007 <span class="comment"># copy of this software and associated documentation files (the &quot;Software&quot;),</span>
<a name="l00008"></a>00008 <span class="comment"># to deal in the Software without restriction, including without limitation</span>
<a name="l00009"></a>00009 <span class="comment"># the rights to use, copy, modify, merge, publish, distribute, sublicense,</span>
<a name="l00010"></a>00010 <span class="comment"># and/or sell copies of the Software, and to permit persons to whom the</span>
<a name="l00011"></a>00011 <span class="comment"># Software is furnished to do so, subject to the following conditions:</span>
<a name="l00012"></a>00012 <span class="comment">#</span>
<a name="l00013"></a>00013 <span class="comment"># The above copyright notice and this permission notice shall be included in</span>
<a name="l00014"></a>00014 <span class="comment"># all copies or substantial portions of the Software.</span>
<a name="l00015"></a>00015 <span class="comment">#</span>
<a name="l00016"></a>00016 <span class="comment"># THE SOFTWARE IS PROVIDED &quot;AS IS&quot;, WITHOUT WARRANTY OF ANY KIND, EXPRESS OR</span>
<a name="l00017"></a>00017 <span class="comment"># IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,</span>
<a name="l00018"></a>00018 <span class="comment"># FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE</span>
<a name="l00019"></a>00019 <span class="comment"># AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER</span>
<a name="l00020"></a>00020 <span class="comment"># LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,</span>
<a name="l00021"></a>00021 <span class="comment"># OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE</span>
<a name="l00022"></a>00022 <span class="comment"># SOFTWARE.</span>
<a name="l00023"></a>00023 <span class="comment">#</span>
<a name="l00024"></a>00024 <span class="comment"># Author: Jesus Carrero &lt;j.o.carrero@gmail.com&gt;</span>
<a name="l00025"></a>00025 <span class="comment"># Mountain View, CA</span>
<a name="l00026"></a>00026 <span class="comment">#</span>
<a name="l00027"></a>00027 
<a name="l00028"></a>00028 <span class="stringliteral">&quot;&quot;&quot; This class scale real world parameters to dimension less form</span>
<a name="l00029"></a>00029 <span class="stringliteral">    and call the convection-diffusion-reaction engine to solve the</span>
<a name="l00030"></a>00030 <span class="stringliteral">    parabolic problem.&quot;&quot;&quot;</span>
<a name="l00031"></a>00031 
<a name="l00032"></a>00032 <span class="keyword">from</span> scipy <span class="keyword">import</span> array, zeros, ones, clip, exp, log
<a name="l00033"></a>00033 
<a name="l00034"></a>00034 <span class="keyword">from</span> CDRSolver <span class="keyword">import</span> CDRSolver
<a name="l00035"></a>00035 
<a name="l00036"></a>00036 <span class="keyword">from</span> utils.FemToReal <span class="keyword">import</span> FemToReal
<a name="l00037"></a>00037 <span class="keyword">from</span> utils.Spline <span class="keyword">import</span> Spline
<a name="l00038"></a>00038 
<a name="l00039"></a>00039 
<a name="l00040"></a><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html">00040</a> <span class="keyword">class </span><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html">GBMSolverAdaptor</a>(CDRSolver):
<a name="l00041"></a>00041 
<a name="l00042"></a>00042     <span class="stringliteral">&quot;&quot;&quot;Finite-Element solver for the Black-Scholes PDE</span>
<a name="l00043"></a>00043 <span class="stringliteral"></span>
<a name="l00044"></a>00044 <span class="stringliteral">     The problem to solve is given by:</span>
<a name="l00045"></a>00045 <span class="stringliteral"></span>
<a name="l00046"></a>00046 <span class="stringliteral">      Function</span>
<a name="l00047"></a>00047 <span class="stringliteral">        f = f(t,x) over the rectangle 0 &lt;= t &lt;= T, Bl &lt;= x &lt;= Bu.</span>
<a name="l00048"></a>00048 <span class="stringliteral">      PDE</span>
<a name="l00049"></a>00049 <span class="stringliteral">        rf = df/dt + rx df/dx + (1/2)(sigma x)^2 d^f/dx^2</span>
<a name="l00050"></a>00050 <span class="stringliteral">      Boundary conditions</span>
<a name="l00051"></a>00051 <span class="stringliteral">        given on the three sides of the rectangle</span>
<a name="l00052"></a>00052 <span class="stringliteral">        t = T; x = Bl; x = Bu</span>
<a name="l00053"></a>00053 <span class="stringliteral"></span>
<a name="l00054"></a>00054 <span class="stringliteral">     where r, sigma, T, Bl, Bu are given parameters.</span>
<a name="l00055"></a>00055 <span class="stringliteral">  &quot;&quot;&quot;</span>
<a name="l00056"></a>00056 
<a name="l00057"></a>00057     __slots__ = [<span class="stringliteral">&#39;m_spot&#39;</span>, <span class="stringliteral">&#39;m_strike&#39;</span>, <span class="stringliteral">&#39;m_smin&#39;</span>, <span class="stringliteral">&#39;m_smax&#39;</span>, <span class="stringliteral">&#39;m_cut_thr&#39;</span>,
<a name="l00058"></a>00058                  <span class="stringliteral">&#39;m_ir&#39;</span>, <span class="stringliteral">&#39;m_sigma&#39;</span>]
<a name="l00059"></a>00059 
<a name="l00060"></a><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a747a7bee14614443475113c924575fa8">00060</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a747a7bee14614443475113c924575fa8">__init__</a>(self, time2_mat, spval, strike, ntime_steps, nsegs,
<a name="l00061"></a>00061             smin=<span class="keywordtype">None</span>, smax=<span class="keywordtype">None</span>):
<a name="l00062"></a>00062         <span class="stringliteral">&quot;&quot;&quot;Initialize the finite-difference solver.</span>
<a name="l00063"></a>00063 <span class="stringliteral"></span>
<a name="l00064"></a>00064 <span class="stringliteral">     Parameters:</span>
<a name="l00065"></a>00065 <span class="stringliteral">      time2_mat - maturity time.</span>
<a name="l00066"></a>00066 <span class="stringliteral">      spval    - Stoke present value.</span>
<a name="l00067"></a>00067 <span class="stringliteral">      strike - strike price.</span>
<a name="l00068"></a>00068 <span class="stringliteral">      ntime_steps - number of time steps to take when discretizing PDE</span>
<a name="l00069"></a>00069 <span class="stringliteral">      nsegs  - number of segments in the finite element discretization</span>
<a name="l00070"></a>00070 <span class="stringliteral">      smin  - lower bound for stock price</span>
<a name="l00071"></a>00071 <span class="stringliteral">      smax  - upper bound for stock price</span>
<a name="l00072"></a>00072 <span class="stringliteral">    &quot;&quot;&quot;</span>
<a name="l00073"></a>00073 
<a name="l00074"></a>00074         self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a6c0c777184220da1088daca6920ed71d">m_spot</a> = float(spval)
<a name="l00075"></a>00075         self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a07601f29c6184f643a02de03d2676287">m_strike</a> = float(strike)
<a name="l00076"></a>00076 
<a name="l00077"></a>00077         self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a25b45a8c90c4fd0008972d26fe4d99df">m_cut_thr</a> = 1.0e-6
<a name="l00078"></a>00078         self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#ad3e27d925093fc67f0783c3cc212eb37">m_smin</a> = float(smin)
<a name="l00079"></a>00079         self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#afe08c7ea31e4d3a82c21d405c593ca09">m_smax</a> = float(smax)
<a name="l00080"></a>00080 
<a name="l00081"></a>00081         <span class="keywordflow">if</span> self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#ad3e27d925093fc67f0783c3cc212eb37">m_smin</a> == <span class="keywordtype">None</span> <span class="keywordflow">or</span> self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#afe08c7ea31e4d3a82c21d405c593ca09">m_smax</a> == <span class="keywordtype">None</span>:
<a name="l00082"></a>00082             self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#ad3e27d925093fc67f0783c3cc212eb37">m_smin</a> = 0.5 * self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a6c0c777184220da1088daca6920ed71d">m_spot</a>
<a name="l00083"></a>00083             self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#afe08c7ea31e4d3a82c21d405c593ca09">m_smax</a> = 2.1 * self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a6c0c777184220da1088daca6920ed71d">m_spot</a>
<a name="l00084"></a>00084 
<a name="l00085"></a>00085         (left_point, right_point) = (log(self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#ad3e27d925093fc67f0783c3cc212eb37">m_smin</a> / self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a07601f29c6184f643a02de03d2676287">m_strike</a>),
<a name="l00086"></a>00086                 log(self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#afe08c7ea31e4d3a82c21d405c593ca09">m_smax</a> / self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a07601f29c6184f643a02de03d2676287">m_strike</a>))
<a name="l00087"></a>00087         CDRSolver.__init__(self, nsegs, left_point, right_point)
<a name="l00088"></a>00088         (self.m_sigma, self.m_ir) = (<span class="keywordtype">None</span>, <span class="keywordtype">None</span>)
<a name="l00089"></a>00089 
<a name="l00090"></a><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a34894ab033d936cbdbaf5fe903e3cb5b">00090</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a34894ab033d936cbdbaf5fe903e3cb5b">get_strike</a>(self):
<a name="l00091"></a>00091         <span class="stringliteral">&quot;&quot;&quot; get strike value &quot;&quot;&quot;</span>
<a name="l00092"></a>00092 
<a name="l00093"></a>00093         <span class="keywordflow">return</span> self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a07601f29c6184f643a02de03d2676287">m_strike</a>
<a name="l00094"></a>00094 
<a name="l00095"></a><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#ab266b4bece640f66342b3f826807585e">00095</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#ab266b4bece640f66342b3f826807585e">set_option_cos</a>(self, sigma, dividents, i_rate, s_is_real, q_is_real,
<a name="l00096"></a>00096             i_is_real):
<a name="l00097"></a>00097         <span class="stringliteral">&quot;&quot;&quot;</span>
<a name="l00098"></a>00098 <span class="stringliteral">      Black scholes is transformed to a diffusion convection reaction</span>
<a name="l00099"></a>00099 <span class="stringliteral">      problem with the following coeffientns</span>
<a name="l00100"></a>00100 <span class="stringliteral"></span>
<a name="l00101"></a>00101 <span class="stringliteral">      d = 0.5*self.m_sigma^2</span>
<a name="l00102"></a>00102 <span class="stringliteral">      c = i_rate - dividents - volatility / 2.</span>
<a name="l00103"></a>00103 <span class="stringliteral">      r = -i_rate</span>
<a name="l00104"></a>00104 <span class="stringliteral">    &quot;&quot;&quot;</span>
<a name="l00105"></a>00105 
<a name="l00106"></a>00106         (self.m_sigma, self.m_ir) = (sigma, i_rate)
<a name="l00107"></a>00107         <span class="keywordflow">if</span> s_is_real:
<a name="l00108"></a>00108             diffusion = 0.5 * self.m_sigma ** 2
<a name="l00109"></a>00109             convection = self.m_ir - dividents - diffusion
<a name="l00110"></a>00110         <span class="keywordflow">else</span>:
<a name="l00111"></a>00111             <span class="keyword">assert</span> <span class="keyword">True</span> == q_is_real <span class="keywordflow">and</span> <span class="keyword">True</span> == i_is_real
<a name="l00112"></a>00112 
<a name="l00113"></a>00113             <span class="comment"># Extract sigma values, generate new spline using new grid.</span>
<a name="l00114"></a>00114             <span class="comment"># Change this when introduce adaptivity.</span>
<a name="l00115"></a>00115 
<a name="l00116"></a>00116             grid = self.get_mesh()
<a name="l00117"></a>00117             yval = array([sigma.value(x) ** 2 <span class="keywordflow">for</span> x <span class="keywordflow">in</span> grid]) / 2.
<a name="l00118"></a>00118             diffusion = <a class="code" href="classutils_1_1Spline_1_1Spline.html">Spline</a>(grid.x, yval)
<a name="l00119"></a>00119             convection = <a class="code" href="classutils_1_1Spline_1_1Spline.html">Spline</a>(grid.x, yval)
<a name="l00120"></a>00120             convection.a = (self.m_ir - dividents) \
<a name="l00121"></a>00121                 * ones(convection.a.shape) - convection.a
<a name="l00122"></a>00122 
<a name="l00123"></a>00123         (dl_is_real, sl_is_real) = (s_is_real, s_is_real)
<a name="l00124"></a>00124         self.set_diffus_cos(diffusion, convection, -self.m_ir, dl_is_real,
<a name="l00125"></a>00125                 sl_is_real, i_is_real)
<a name="l00126"></a>00126 
<a name="l00127"></a>00127     <span class="keyword">def </span>_zero(self, pval, time=0):
<a name="l00128"></a>00128         <span class="stringliteral">&quot;&quot;&quot; zero boundary condition. &quot;&quot;&quot;</span>
<a name="l00129"></a>00129 
<a name="l00130"></a>00130         <span class="keywordflow">return</span> clip(pval, 0, 0) * clip(time, 0, 0)
<a name="l00131"></a>00131 
<a name="l00132"></a>00132     <span class="keyword">def </span>_ca_vanilla_rbc(self, pval, time=0):
<a name="l00133"></a>00133         <span class="stringliteral">&quot;&quot;&quot; call vanilla right boundary conditions. &quot;&quot;&quot;</span>
<a name="l00134"></a>00134 
<a name="l00135"></a>00135         <span class="keywordflow">return</span> self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a07601f29c6184f643a02de03d2676287">m_strike</a> * clip(exp(pval) - exp(-self.m_ir * time),
<a name="l00136"></a>00136                                     0.0, 1e600)
<a name="l00137"></a>00137 
<a name="l00138"></a>00138     <span class="keyword">def </span>_digital_bc(self, pval, time=0):
<a name="l00139"></a>00139         <span class="stringliteral">&quot;&quot;&quot; digital boundary condition. &quot;&quot;&quot;</span>
<a name="l00140"></a>00140 
<a name="l00141"></a>00141         <span class="keywordflow">return</span> exp(-self.m_ir * time) * clip(pval, 1, 1) * clip(time,
<a name="l00142"></a>00142                 1, 1)
<a name="l00143"></a>00143 
<a name="l00144"></a>00144     <span class="keyword">def </span>_put_va_lbc(self, pval, time=0):
<a name="l00145"></a>00145         <span class="stringliteral">&quot;&quot;&quot; put vanilla left boundary condition. &quot;&quot;&quot;</span>
<a name="l00146"></a>00146 
<a name="l00147"></a>00147         <span class="keywordflow">return</span> self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a07601f29c6184f643a02de03d2676287">m_strike</a> * clip(exp(-self.m_ir * time) - exp(pval),
<a name="l00148"></a>00148                                     0.0, 1e600)
<a name="l00149"></a>00149 
<a name="l00150"></a>00150     <span class="keyword">def </span>_call_va_present_val(self, pval, time=0):
<a name="l00151"></a>00151         <span class="stringliteral">&quot;&quot;&quot; call vanilla present value. &quot;&quot;&quot;</span>
<a name="l00152"></a>00152 
<a name="l00153"></a>00153         <span class="keywordflow">return</span> self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a07601f29c6184f643a02de03d2676287">m_strike</a> * clip(exp(pval) - 1.0, 0.0, 1e600) \
<a name="l00154"></a>00154             * exp(-self.m_ir * time)
<a name="l00155"></a>00155 
<a name="l00156"></a>00156     <span class="keyword">def </span>_call_di_present_val(self, pval, time=0):
<a name="l00157"></a>00157         <span class="stringliteral">&quot;&quot;&quot; digital call present value. &quot;&quot;&quot;</span>
<a name="l00158"></a>00158 
<a name="l00159"></a>00159         tmp = zeros(pval.shape)
<a name="l00160"></a>00160         tmp[exp(pval) &gt; 1.0] = exp(-self.m_ir * time)
<a name="l00161"></a>00161         <span class="keywordflow">return</span> tmp
<a name="l00162"></a>00162 
<a name="l00163"></a>00163     <span class="keyword">def </span>_put_di_present_val(self, pval, time=0):
<a name="l00164"></a>00164         <span class="stringliteral">&quot;&quot;&quot; digital put present value. &quot;&quot;&quot;</span>
<a name="l00165"></a>00165 
<a name="l00166"></a>00166         tmp = zeros(pval.shape)
<a name="l00167"></a>00167         tmp[exp(pval) &lt; 1.0] = exp(-self.m_ir * time)
<a name="l00168"></a>00168         <span class="keywordflow">return</span> tmp
<a name="l00169"></a>00169 
<a name="l00170"></a>00170     <span class="keyword">def </span>_put_va_present_val(self, pval, time=0):
<a name="l00171"></a>00171         <span class="stringliteral">&quot;&quot;&quot; vanilla put present value. &quot;&quot;&quot;</span>
<a name="l00172"></a>00172 
<a name="l00173"></a>00173         <span class="keywordflow">return</span> self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a07601f29c6184f643a02de03d2676287">m_strike</a> * clip(1.0 - exp(pval), 0.0, 1e600) \
<a name="l00174"></a>00174             * exp(-self.m_ir * time)
<a name="l00175"></a>00175 
<a name="l00176"></a>00176     <span class="keyword">def </span>_post_process(self, u_final):
<a name="l00177"></a>00177         <span class="stringliteral">&quot;&quot;&quot; finite element to real space. &quot;&quot;&quot;</span>
<a name="l00178"></a>00178 
<a name="l00179"></a>00179         grid = self.get_mesh()
<a name="l00180"></a>00180         basis = self.get_sfunc()
<a name="l00181"></a>00181 
<a name="l00182"></a>00182         recons = <a class="code" href="classutils_1_1FemToReal_1_1FemToReal.html">FemToReal</a>(grid, basis)
<a name="l00183"></a>00183         solu = recons.reconstruct(u_final)
<a name="l00184"></a>00184         solu[:, 0] = self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a07601f29c6184f643a02de03d2676287">m_strike</a> * exp(solu[:, 0])  <span class="comment"># S</span>
<a name="l00185"></a>00185         price = solu[:, 1]
<a name="l00186"></a>00186         price[price &lt; self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a25b45a8c90c4fd0008972d26fe4d99df">m_cut_thr</a>] = 0.0
<a name="l00187"></a>00187         <span class="keywordflow">return</span> solu
<a name="l00188"></a>00188 
<a name="l00189"></a><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a20b054c92bb0786e887336e1b886fca9">00189</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a20b054c92bb0786e887336e1b886fca9">get_stock_pres_val</a>(self):
<a name="l00190"></a>00190         <span class="stringliteral">&quot;&quot;&quot; stock present value. &quot;&quot;&quot;</span>
<a name="l00191"></a>00191 
<a name="l00192"></a>00192         <span class="keywordflow">return</span> self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a6c0c777184220da1088daca6920ed71d">m_spot</a>
<a name="l00193"></a>00193 
<a name="l00194"></a><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#afb36345db4edf78cd2d10e2e53c770fe">00194</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#afb36345db4edf78cd2d10e2e53c770fe">get_price_history</a>(self):
<a name="l00195"></a>00195         <span class="stringliteral">&quot;&quot;&quot; price history. &quot;&quot;&quot;</span>
<a name="l00196"></a>00196 
<a name="l00197"></a>00197         price_hist = <span class="keywordtype">None</span>
<a name="l00198"></a>00198         <span class="keywordflow">if</span> self.get_keep_hist():
<a name="l00199"></a>00199             grid = self.get_mesh()
<a name="l00200"></a>00200             recons = <a class="code" href="classutils_1_1FemToReal_1_1FemToReal.html">FemToReal</a>(grid, self.get_sfunc())
<a name="l00201"></a>00201             <span class="keyword">from</span> scipy <span class="keyword">import</span> arange
<a name="l00202"></a>00202 
<a name="l00203"></a>00203             alg_hist = self._get_solver_hist()
<a name="l00204"></a>00204             ntime_steps = alg_hist.shape[0]
<a name="l00205"></a>00205             price_hist = zeros((ntime_steps, 10 * grid.get_nsegs()),
<a name="l00206"></a>00206                                <span class="stringliteral">&#39;float&#39;</span>)
<a name="l00207"></a>00207             <span class="keywordflow">for</span> i <span class="keywordflow">in</span> arange(ntime_steps):
<a name="l00208"></a>00208                 solu = recons.reconstruct(alg_hist[i, :])
<a name="l00209"></a>00209                 price = solu[:, 1]
<a name="l00210"></a>00210                 price[price &lt; self.<a class="code" href="classmodels_1_1GBMSolverAdaptor_1_1GBMSolverAdaptor.html#a25b45a8c90c4fd0008972d26fe4d99df">m_cut_thr</a>] = 0.0
<a name="l00211"></a>00211                 price_hist[i, :] = price.flatten()
<a name="l00212"></a>00212         <span class="keywordflow">return</span> price_hist
<a name="l00213"></a>00213 
<a name="l00214"></a>00214 
</pre></div></div>
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